There's a lot of tricks to induce lucid dreaming. The most effective I've ever used is one that happened by accident each time, yet worked like a charm in causing lucid dreaming. The trick is simple: set yourself up to be woken up about 2 hours into sleep. When you wake up, stay awake for a little bit (maybe a minute or two), then go back to sleep. As you do, try to keep your mind somewhat active in spite of trying to fall asleep. This technique is called wake-induced lucid dreaming (or WILD).

The reason it works is because, at about the 2-hour mark (sometimes it's later, but my experience has always been that the 2-hour mark is pretty dead-on), the hallucinogens have been secreted to some degree, but more will be secreted soon after. Meaning that your mind is already in a state of sleep-fog, and will be getting another influx of dream-inducing chemicals not long after you go back to sleep. A perfect window of opportunity to take control, in other words. As well, by waiting a few minutes, you force your mind to adapt to the idea of being conscious in spite of the chemicals trying to keep you asleep.

You don't want to stay awake too long, however, or the sleep hallucinogens will wear off and you'll basically have to start over. Also, when trying to keep aware while falling back asleep, stick to passing thoughts, or your mind will try to remain fully awake and you'll miss the window of opportunity.

I can't wake up nor fall asleep on command though Sky Render.

That's why you normally want some sort of trigger, like an alarm set to go off 2 hours into sleep. And believe me, it is MUCH easier to get to sleep again when you've been woken up unexpectedly only 2 hours into sleep than it is to actually get to sleep initially. That said, WILD is not the best method for some. Others exist too, and you can read about them on Wikipedia's "lucid dreaming" article.

What about going to sleep with a full bladder?

I share a room with my brother, and he wouldn't want to be woken up. Also, I am a really heavy sleeper (I mean really heavy. I once slept through a tornado when I lived in Ohio).

Yeah, that's a method that can also be used. I try to avoid it, as it can have, erm, unfortunate side-effects which should be readily apparent.

dtewi, sleep paralysis is natural for everybody. It's what keeps most people from sleepwalking or punching their wife in their sleep. Some times you can wake up during this stage and it can scare the hell out of you if you don't know what it is. Your eyes can open and move around, but your brain is shutting off your body control so you don't hurt yourself. But you'll still dream things that aren't there. One time I saw a roommate say "Whoa, he's sleeping with his eyes open, hello hello can you hear me?" and I couldn't say "yes" or nod or anything no matter how hard I tried. Then I would levitate out of my body and fly away. Later I'd wake up and ask my roommate if he really said all that and it would all be true, except for the levitating out of my body part.

Okay, I am really confused though.

Was levitating a hallucination or a dream?

Technically, dreams are hallucinations.

And I can vouch for the surreality of sleep paralysis when you become aware of it. It even affects your tongue. Hollywood would like you to believe that talking in your sleep sounds just like when you're awake, but it's usually not. It tends to sound sluggish and even incomprehensible at times.

 Ya it can get pretty weird, I don't know if this happens much but there was this one night when I was in bed trying some lucid dream tricks, I had just woken up after sleeping for like 4 hours and then I tried keeping my mind on something while staying completely still and eventually I started breathing really heavy and then all my muscles started to tense up, and I knew something weird was going to happen and that I should try to stay calm and go with it, but eventually my breathing got to heavy and I had to stop everything and get up. So anyway did this ever happen to anyone?

They're the same thing as far as I can tell.

From http://www.xkcd.com/

Also, one time I woke myself up by saying "peanut butter sandwich" out loud.  I don't remember a single thing about the dream, but I just remember waking up to my own voice and mouth moving.  And yeah, I sounded like I was drugged/drunk or something, all sluggish as hell.